50% VT 50% Cash

Specification

Policy
Rebalancing Interval Annually
Weights Algorithm Constant Weights
Assets
VANGUARD TOTAL WORLD STOCK INDEX FUND ETF SHARES (VT)50.00%
SPDR Bloomberg 1-3 Month T-Bill ETF (BIL)50.00%
Benchmark
SPDR S&P 500 ETF Trust (SPY)

Policy Report

Backtest Report

From to (16y 7m 4d)

Returns (annualized)

Portfolio 4.80%
Benchmark 11.87%

Risk (annualized)

Portfolio 9.76%
Benchmark 19.94%

Sharpe (annualized)

Portfolio 0.41
Benchmark 0.61

Excess Return (annualized)

-7.07%

Tracking Error (annualized)

11.20%

Information Ratio

-0.63
Statistic Portfolio Benchmark
Downside Volatility 10.50% 21.24%
Sortino Ratio 0.38 0.57
Calmar Ratio 0.15 0.26
Ulcer Index 15.35 15.00
Max Drawdown 26.99% 47.17%
VaR (99% Confidence) $-2,269 $-4,638
VaR (99.9% Confidence) $-3,015 $-6,161
Beta to Benchmark 0.46 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.45

Skew

-0.51
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.4939 0.4939
Size Factor 0.0202 0.0202
Style Factor 0.0059 0.0059
U.S. Tilt (Non U.S.) 0.0088 0.0088

Adjusted R2

Portfolio 0.95
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution